On Modeling the Earthquake Insurance Data via a New Member of the T-X Family. (19th September 2020)

• Record Type: Journal Article
• Authors: Ahmad, Zubair; Mahmoudi, Eisa; Kharazmi, Omid
• Other Names: Schwenker Friedhelm Academic Editor.
• Is Part Of: Computational intelligence and neuroscience. Volume 2020(2020)
• Publication Date: 2020-09-19
• Subjects: Neurosciences -- Data processing -- Periodicals; Computational intelligence -- Periodicals; Computational neuroscience -- Periodicals; 612.80285
• DOI: 10.1155/2020/7631495
• Languages: English
• ISSNs: 1687-5265

Abstract

Abstract : Heavy-tailed distributions play an important role in modeling data in actuarial and financial sciences. In this article, a new method is suggested to define new distributions suitable for modeling data with a heavy right tail. The proposed method may be named as the Z-family of distributions. For illustrative purposes, a special submodel of the proposed family, called the Z-Weibull distribution, is considered in detail to model data with a heavy right tail. The method of maximum likelihood estimation is adopted to estimate the model parameters. A brief Monte Carlo simulation study for evaluating the maximum likelihood estimators is done. Furthermore, some actuarial measures such as value at risk and tail value at risk are calculated. A simulation study based on these actuarial measures is also done. An application of the Z-Weibull model to the earthquake insurance data is presented. Based on the analyses, we observed that the proposed distribution can be used quite effectively in modeling heavy-tailed data in insurance sciences and other related fields. Finally, Bayesian analysis and performance of Gibbs sampling for the earthquake data have also been carried out.